An infinite expansion for non-linear filtering

An abstract filtering equation is derived for a partially observed system. An infinite series expansion is obtained for the best mean square estimate in terms of the iterated Ito integrals with respect to the innovation process.

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Year of publication:	1994
Authors:	Yu, Yaoqi ; Figueiredo, Rui J. P. de
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 51.1994, 2, p. 329-340
Publisher:	Elsevier
Keywords:	Filtering problem Predictable process Semimartingale Ito stochastic integral Ito formula Innovation process

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008875388